Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0266
Annualized Std Dev 0.2322
Annualized Sharpe (Rf=0%) 0.1146

Row

Daily Return Statistics

Close
Observations 3305.0000
NAs 1.0000
Minimum -0.1140
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0074
Maximum 0.1389
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0146
Skewness -0.6769
Kurtosis 9.3334

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0095
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6329
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0375
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0519
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2015-05-14 -0.6329 1824 308 1516
2018-01-29 2020-03-18 2020-12-28 -0.4808 735 538 197
2015-05-18 2016-06-27 2017-04-24 -0.2116 484 280 204
2021-01-11 2021-01-27 2021-02-05 -0.0427 19 12 7
2017-06-05 2017-07-06 2017-07-20 -0.0399 33 23 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0.6 0.2 0.8
2008 1.4 -2.1 1.9 0.5 0.5 -1.8 -0.7 0.6 -1.3 0.3 -6.1 1.8 -5.1
2009 0.3 -0.9 2.5 0.9 2.2 0.7 2.2 -0.7 -3.7 -1.3 2.2 0.3 4.6
2010 1.4 1.1 1.6 -1 -0.4 0.7 -0.1 3 0.6 -0.4 2.7 1 10.7
2011 2.7 -0.9 0.9 0.1 -1.4 0.9 -1.2 -1.7 -2.2 -3.2 -1.2 0.3 -6.8
2012 1.5 -0.1 1 0.4 -3 3.6 -0.2 0.9 -0.4 1.7 -0.1 1 6.3
2013 0.7 0.3 -1.1 1 -1.6 0.4 1.3 -0.6 0.4 -0.6 0.4 0.5 0.9
2014 -1.7 0.9 0.5 -0.1 0.6 1.2 -0.5 -0.5 -1 1.2 -0.3 -0.9 -0.6
2015 0.1 1.1 0.6 -0.3 -0.3 1.9 0.5 -3.4 -0.5 0.8 0.2 -2.4 -1.8
2016 0.2 2.4 0.3 -0.4 -0.2 0.6 -0.9 1.4 0.9 -0.2 -0.1 1.1 5.1
2017 0.9 0.7 0.2 0.5 1 0.7 0.1 0.5 0.7 -0.2 0.1 0.2 5.5
2018 0.4 -1.5 0.3 -0.6 0.4 1.4 -0.2 -0.5 0.3 2.8 -1 0.7 2.3
2019 -0.4 1.4 1.4 -0.5 -0.2 0.3 -0.4 0.8 -0.6 1 -0.4 0.7 3
2020 -1 -0.8 -3.8 -2.4 2.7 0.7 -1.6 -0.8 0.8 0 3.2 -0.5 -3.9
2021 1.2 1.6 -0.1 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-11-19  46.8 SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -6.60e-3  -0.0135
2 2007-11-20  47.1 SPY    145.  0.0061  -0.0232  -0.0392  -0.0137   0.0301    0.218    0.599 GLD    79.5  2.89e-2   0.0044
3 2007-11-21  46.3 SPY    142. -0.0205  -0.0406  -0.0664  -0.033    0.0084    0.207    0.568 GLD    79.4 -1.40e-3  -0.0115
4 2007-11-26  46.5 SPY    141. -0.0221  -0.0332  -0.0717  -0.0408   0.0002    0.193    0.498 GLD    81.3  6.00e-4   0.0457
5 2007-11-27  47.1 SPY    143.  0.0115  -0.0083  -0.0719  -0.008    0.0158    0.204    0.526 GLD    80.1 -1.48e-2   0.037 
6 2007-11-28  48.3 SPY    147.  0.032    0.0172  -0.0454   0.004    0.0629    0.243    0.574 GLD    79.6 -6.60e-3   0.0013
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart